计量经济分析 = Econometric analysis

In 1974 an article appeared in Science magazine with the dry-sounding title “Judgment Under Uncertainty: Heuristics and Biases” by a pair of psychologists who were not well known outside their discipline of decision theory. In it Amos Tversky and Daniel Kahneman introduced the world to Prospect Theory, which mapped out how humans actually behave when faced with decisions about gains and losses, in contrast to how economists assumed that people behave. Prospect Theory turned Economics on its head by demonstrating through a series of ingenious experiments that people are much more concerned with losses than they are with gains, and that framing a choice from one perspective or the other will result in decisions that are exactly the opposite of each other, even if the outcomes are monetarily the same. Prospect Theory led cognitive psychology in a new direction that began to uncover other human biases in thinking that are probably not learned but are part of our brain’s wiring.

Thinking fast and slow.

We estimate a dynamic stochastic general equilibrium (DSGE) model for the US economy. The model incorporates many types of real and nominal frictions: sticky nominal price and wage setting, habit formation in consumption, investment adjustment costs, variable capital utilisation and fixed costs in production. It also contains many types of shocks including productivity, labour supply, investment, preference, cost-push and monetary policy shocks. Using Bayesian estimation techniques, the relative importance of the various frictions and shocks in explaining the US business cycle are empirically investigated. We also show that this model is able to outperform standard VAR and BVAR models in out-of-sample prediction.

/pdf/shocks-and-frictions-in-us-business-cycles-a-bayesian-dsge-2gcs6kvruw.pdf

Shocks and frictions in US business cycles: A Bayesian DSGE approach

here, but often with some revealing new insight; and only an exceptionally eclectic and voracious reader would fail to find new material. Even so familiar a subject as the Indian railways produces some fresh touches: Headrick remarks that British investors, under the government guarantee system (of 5 percent return on their capital), were not gambling on the profitability of railway operation in India but on the continuing ability of the British Raj to collect taxes; and India was the only nation with a major rail network that failed to industrialize during its railway boom. He describes a masterful use of technical requirements to keep out commercial rivals while maintaining a free trade ideology and a later masterful use of procrastination and indecision to avoid a hard choice between a declining British industry and an emerging India. Ironies abound. Earnest and laborious, although underfunded, efforts produced successful agricultural research programs (for export cash crops, of course) in Indonesia, India, and Malaya. But although research in Indochina "had been disorganized, unfocused, and erratic," it didn't matter, "because neighboring colonies had developed profitable plants and techniques" (p. 231) readily borrowed or stolen by French planters. Nevertheless, the French regime established something the British Raj in India never did. Its Office Indochinois du Riz, established in 1930-31, applied modern research techniques to a major peasant food and subsistence crop. Some fascinating people figure in these case studies, from the Indian geologist Pramatha Nath Bose—whose work made possible the success of Tata Iron and Steel, but only after he resigned from the service of a British Indian government that opposed such efforts—to men like Nigeria's Herbert S. H. Macaulay, Africa's first black civil engineer, who was sent to England to study surveying, civil engineering, and piano tuning. Colonial administrators often thought of technical education in terms of preindustrial crafts and not modern professions, not just out of racism (although there was plenty of that). Many were conservative, in a sense refugees from their own industrialized cultures, who wished to protect and conserve the "best elements" of the colonial cultures from rapid change. Both colonizers and colonized had ambiguous attitudes, which made it easier to transfer technology for transport and communication but difficult to transfer technology for import substitution. Asians and Africans had entrepreneurial skills, but only rarely combined with capital and an understanding of Western technology; and even a great success, such as the Tatas in India or smallholder rubber growers in Malaya, were at the mercy of government policies.

Ethnic Groups in Conflict

We propose that stock-market participation is influenced by social interaction. In our model, any given “social” investor finds the market more attractive when more of his peers participate. We test this theory using data from the Health and Retirement Study, and find that social households—those who interact with their neighbors, or attend church—are substantially more likely to invest in the market than non-social households, controlling for wealth, race, education, and risk tolerance. Moreover, consistent with a peer-effects story, the impact of sociability is stronger in states where stock-market participation rates are higher.

/pdf/social-interaction-and-stock-market-participation-4quaj1emif.pdf

Social Interaction and Stock-Market Participation

Qualitative research in economics has traditionally been unimportant compared to quantitative work. Yet there has been a small explosion in use of quantitative approaches in the past 10–15 years, including ‘mixed-methods’ projects which use qualitative and quantitative methods in combination. This paper surveys the growing use of qualitative methods in economics and closely related fields, aiming to provide economists with a useful roadmap through major sets of qualitative methods and how and why they are used. We review the growing body of economic research using qualitative approaches, emphasizing the gains from using qualitative- or mixed-methods over traditional ‘closed-ended’ approaches. It is argued that, although qualitative methods are often portrayed as less reliable, less accurate, less powerful and/or less credible than quantitative methods, in fact, the two sets of methods have their own strengths, and how much can be learned from one type of method or the other depends on specific issues that arise in studying the topic of interest. The central message of the paper is that well-done qualitative work can provide scientifically valuable and intellectually helpful ways of adding to the stock of economic knowledge, especially when applied to research questions for which they are well suited.

https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=2408823

Qualitative and mixed‐methods research in economics: surprising growth, promising future

This paper investigates the composition of households' assets and liabilities in the United States. Using aggregate and survey data, we document major trends in household portfolios in the past 15 years. We show that, despite the broad array of financial products available, the portfolio of the typical household remains fairly simple and safe, consisting of a checking account, savings account, and tax-deferred retirement account; in 1998, less than half of all households owned some form of stock. We use pooled data from the Survey of Consumer Finances to investigate determinants of portfolio choice, finding significant effects of age, wealth, income risk, and entry/information costs.

Household portfolios in the United States

Recent studies stress precautionary motives for saving: with uncertain income and health, households may accumulate wealth to guard against lower consumption in the future. This paper examines the relationship between health insurance and savings, using high-quality data on household finances. The precautionary view predicts higher savings among households without insurance, ceteris paribus. I find that insurance does reduce saving, once the endogeneity of coverage is taken into account.

Health Insurance and Precautionary Saving

https://isiarticles.com/bundles/Article/pre/pdf/25793.pdf

Does money matter in the CIS? Effects of monetary policy on output and prices

This paper investigates the influence of economic news on consumer sentiment, and examines whether “news shocks”—changes in coverage that would not be expected from incoming data on economic fundamentals—have aggregate effects Using monthly US data and a structural vector autoregression, I find that (1) sentiment is affected by news shocks; (2) after filtering out effects of news shocks, shocks to sentiment still have positive effects on consumer spending; and (3) news shocks influence both spending and unemployment in significant, though transitory ways These results are consistent with other evidence of a role of nonfundamental factors in aggregate fluctuations (JEL E21, E32, D12)

/pdf/consumption-sentiment-and-economic-news-4bnk7wtey9.pdf

Consumption, sentiment, and economic news

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